Associate - Quant Risk - Credit Risk Analytics - BFSI

Credit Risk Analytics - Quant Risk - Associate (4-6 yrs)

Role & Responsibilities of the position in brief :

- Credit Risk Analytics develops the quantitative methodologies used to measure counterparty credit risk (Potential Exposure); provides analyses and consultation on credit risk quantification

- Participate in global efforts on modeling credit risk exposure

- Potential Exposure (PE) Work closely with PE development teams in London & Mumbai on implementation of models and systems

- Support business/risk managers for live complex structured derivatives transactions Work on various regulatory requirements including Back testing, Stress Testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models Work on ad hoc risk models as per business requirements.

Key Skills :

- Knowledge of Derivatives, Monte carlo Simulation, Counterparty exposure concepts, Regulatory regime

- Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics) - Mandatory

- Expert level knowledge on MS-Excel, VBA, python